期貨交易避險模式之探討

Abstract

利用期貨契約進行避險,是希望以基差的變動風險替代現貨價格的變 動風險.因為在一般的情況下,基差風險小於現貨價格變動風險,所以期貨 是一值得利用的避險工具.在期貨避險中,避險比率的估計是一重要課題, 在風險極小化的目標之下,我們希望估計出的避險比率能夠降低較大的現 貨價格變動風險.本研究首先探討Johnson避險模式及其相關估計上文獻, 然後介紹考量了基差收歛的HKM模式.HKM模式的基本觀念是:由於接近到期 日時期貨價格將收歛至現貨價格,故避險比率必須隨著時間而調整,以使基 差風險極小.本研究以黃金期貨契約為樣本,檢定結果得知,HKM模式的避險 績效優於Johnson模式. The estimation of hedging ratios is an important issue in futures hedge.At the consideration of risk minimization,we hope the hedge ratio we get could reduce the spot position risk largely.In this article,two hedging models arediscussed--Johnson model and HKM model.The main difference between them is thatHKM hedge ratio is time varying and Johnson hedge ratio is not.In other words,HKM model corrects for the problems arising from the exclusion of basis conver-gence of Johnson model.The COMEX gold futures is used to examine the performanceof the two models.The empirical evidence shows that HKM model's basis varianceis smaller, This means that HKM model perform better than Johnson model in goldfutures hedge.